Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries

Mohd Fahmi Ghazali (), Nurul Fasyah Mohd Ussdek (), Hooi Hooi Lean () and Jude W. Taunson ()
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Mohd Fahmi Ghazali: Faculty of Economics and Management, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia
Nurul Fasyah Mohd Ussdek: Labuan Faculty of International Finance, Universiti Malaysia Sabah, Jalan Sungai Pagar, 87000 Labuan F.T., Malaysia
Jude W. Taunson: Labuan Faculty of International Finance, Universiti Malaysia Sabah, Jalan Sungai Pagar, 87000 Labuan F.T., Malaysia

Asia-Pacific Journal of Operational Research (APJOR), 2022, vol. 39, issue 04, 1-32

Abstract: This study investigates gold as a hedge or a safe haven against inflation in four countries. We propose two standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. Gold exhibits considerable evidence of a strong hedge in the US and China. Nevertheless, gold provides shelter at different times and not consistently across countries. With regards to be a safe haven, gold retains its status as a key investment in China. On the other hand, gold only plays a minor role in the UK and India. These findings indicate that gold can secure Chinese investment during the high inflationary periods, while gold is a profitable asset to hold over a long period of time in the US. In contrast, UK and Indian investors should hold a well-diversified portfolio for sustainable return and protection from purchasing power loss.

Keywords: Gold; inflation; hedge; safe haven; quantile regression; economic diversification (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0217595922400036

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